“Letterman was great,” the 28-year-old star of Keeping Up with the Kardashians told PEOPLE Friday after sharing the spotlight with Letterman on the night he announced the extortion plot. “I always love doing his show – and I always have a good time with him, it was great!”

RELATED: A Look Back at Kim’s Sweet SummerStill, even early in the week, tension could be detected on the set. A publicist who was at one taping tells PEOPLE, “Things were very subdued – more subdued than usual. Dave wasn’t as revved up as he usually is.”